As others point out, what Amazon does is probably legal. It's also probably required; as a publicly held company they're required to pursue the best return possible to investors. Stepping up to pay a tax that's not legally required would violate that duty.

I think the states can make a good case for requiring mail order consumer businesses to pay sales tax. Bezos says that his employees and business don't receive services from states, but they do. Without functional streets it would be impossible for Amazon to have their products delivered, at the prices they currently charge. Less directly, police and fire services ensure that their customers and contractors can operate safely and with minimal disruption. More abstractly, a functioning economy and legal system promotes the economic well being of its citizens, without which Amazon could not function. At all.